Title: The Study on the Pricing of Credit Risk under the Fast Stochastic Volatility
Abstract: This paper aims to study the risk aversion on valuing the single-name credit derivatives with the fast-scale stochastic volatility correction. Asymptotic approximation is applied to obtain the closed-form solution of the non-linear PDE, and comparison is made to show the utility before and after the stochastic volatility modification.
Publication Year: 2016
Publication Date: 2016-10-01
Language: en
Type: article
Indexed In: ['crossref']
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